A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
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Publication:5427663
DOI10.1111/j.1467-9965.2007.00309.xzbMath1186.91216OpenAlexW1980858784MaRDI QIDQ5427663
Xing Jin, Junhua Sun, Hwee Huat Tan
Publication date: 21 November 2007
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00309.x
Related Items (8)
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ Pricing Bermudan options using low-discrepancy mesh methods ⋮ The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks ⋮ Pricing high-dimensional Bermudan options using the stochastic grid method ⋮ Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems ⋮ ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS ⋮ A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
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- Valuing American Options by Simulation: A Simple Least-Squares Approach
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